chore(reset): v2.0.0 — storico certificato Deribit mainnet, ripartenza pulita

Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-19 15:16:03 +00:00
parent 8401a280b9
commit 14522262e6
383 changed files with 1971 additions and 779 deletions
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+"""TP_PHANTOM (2026-06-11): il tocco TP che esiste solo nel feed (spike-print testnet)
+NON deve chiudere — il LIMIT resting sul book reale e' l'oracolo: zero fill + prezzo
+lontano dal livello = wick fantasma -> exit soppressa. Con fill reale (anche parziale),
+o prezzo realmente oltre il livello, o worker senza esecuzione -> comportamento storico."""
+import pandas as pd
+
+from src.live.strategy_worker import StrategyWorker
+from src.live.strategy_loader import load_strategy
+
+
+def _df(last_high, last_low, n=120, price=100.0):
+    c = [price] * n
+    h = [price] * n
+    l = [price] * n
+    h[-1] = last_high
+    l[-1] = last_low
+    ts = (pd.date_range("2024-01-01", periods=n, freq="1h", tz="UTC").astype("int64") // 10**6)
+    return pd.DataFrame({"timestamp": ts, "open": c, "high": h, "low": l, "close": c, "volume": 1.0})
+
+
+class _FakeExecutor:
+    """Solo cio' che serve al gate + alla _real_close di un eventuale exit."""
+    def __init__(self, tp_filled_amount=0.0):
+        self.tp_filled_amount = tp_filled_amount
+        self.verify_polls = 1
+        self.verify_sleep = 0.0
+
+    def resting_fills(self, instrument, order_id):
+        return self.tp_filled_amount, 102.0 if self.tp_filled_amount else None, 0.0
+
+    def cancel_order(self, order_id):
+        return {"state": "cancelled"}
+
+    def close_amount(self, instrument, side, amount, label=""):
+        class F:
+            verified = True
+            amount = 0.01
+            filled_amount = 0.01
+            fill_price = 100.0
+            fee_usd = 0.01
+            order_id = "X"
+        return F()
+
+
+def _long_worker(tmp, executor=None):
+    w = StrategyWorker(strategy=load_strategy("MR01_bollinger_fade"), asset="BTC", tf="1h",
+                       capital=1000.0, data_dir=tmp,
+                       executor=executor,
+                       exec_instrument="BTC_USDC-PERPETUAL" if executor else None)
+    w._notify = lambda *a, **k: None
+    w.in_position = True
+    w.direction = 1
+    w.entry_price = 100.0
+    w.tp = 102.0
+    w.sl = 98.0
+    w.max_bars = 24
+    w.bars_held = 1
+    w.last_bar_ts = 0
+    if executor:
+        w.real_in_position = True
+        w.real_side = "buy"
+        w.real_amount = 0.01
+        w.real_entry_price = 100.0
+        w.real_entry_notional = 1.0
+        w.real_tp_order_id = "TP-1"
+    return w
+
+
+def test_phantom_touch_suppressed(tmp_path):
+    # wick a 102.5 nel feed, resting zero-fill, close 100 lontano dal TP -> NON chiude
+    w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
+    w.tick(_df(last_high=102.5, last_low=99.5))
+    assert w.in_position
+    assert w.real_in_position
+
+
+def test_real_fill_closes(tmp_path):
+    # stesso wick ma il resting HA fillato -> tocco reale -> chiude
+    w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.01))
+    w.tick(_df(last_high=102.5, last_low=99.5))
+    assert not w.in_position
+
+
+def test_price_beyond_tp_closes_without_fill(tmp_path):
+    # close corrente OLTRE il TP (gap fra poll): tocco genuino anche a zero fill
+    w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
+    df = _df(last_high=103.0, last_low=99.5)
+    df.loc[df.index[-1], "close"] = 102.6
+    w.tick(df)
+    assert not w.in_position
+
+
+def test_no_executor_keeps_legacy_behavior(tmp_path):
+    # worker senza esecuzione reale: il gate non si applica (parita' storica)
+    w = _long_worker(tmp_path, executor=None)
+    w.tick(_df(last_high=102.5, last_low=99.5))
+    assert not w.in_position
+
+
+def test_phantom_does_not_block_other_exits(tmp_path):
+    # tocco TP fantasma E max_bars raggiunto nello stesso tick -> esce a time_limit
+    w = _long_worker(tmp_path, executor=_FakeExecutor(tp_filled_amount=0.0))
+    w.bars_held = 24
+    w.tick(_df(last_high=102.5, last_low=99.5))
+    assert not w.in_position